The long hair is an expression of the AU Cardassia's culture. When I saw the way Cardassian women wore THEIR hair, it made me wonder if, in a culture where they didn't have to conform as they do in the prime universe, perhaps men did something a little more with their own hair (though not in as "ornate" a way as the women do--AU Marritza isn't putting anything in his hair, and if you've ever seen AU Dukat, his is tied back in a very simple, almost Revolutionary War style). On this AU Cardassia, the cultural norm tends to be that the "military cut" is the shortest that doesn't seem weird or shocking to them. A shaved head makes the same nonconformist statement that in our universe, long hair on a man does.

If you feel it makes AU Marritza look "feminine" though...I don't mind that impression, because he does seem that way in my head, too.